ES_SCENARIO_FX_RATES

The ES_SCENARIO_FX_RATES table contains vector fields. In databases that do not natively support vectors, the vector fields are stored as separate columns.

ES_SCENARIO_FX_RATES Table Fields

Column Name Type Not Null Cube Field Description
DATA_SET STRING Y The data set to which the entry belongs. The following different values are possible:
  • “Full Set Current”: data for the last 12 months
  • “Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period
  • “Reduced Set Current”: data with the reduced set of risk factors for the last 12 months
RISK_CLASS STRING Y The risk class, which will be one of the following:
  • GIRR
  • CSR
  • Equity
  • Commodity
  • FX
  • allin
LIQUIDITY_HORIZON INTEGER Y The Liquidity Horizon in days: 10, 20, 40, 60 or 120
BASE_CCY STRING Y The left side of the currency pair
COUNTER_CCY STRING Y The right side of the currency pair
AS_OF_DATE DATE Y Timestamp (at close of business) for the data
Column Name Type Not Null Cube Field Description
DATA_SET STRING Y The data set to which the entry belongs. The following different values are possible:
  • “Full Set Current”: data for the last 12 months
  • “Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period
  • “Reduced Set Current”: data with the reduced set of risk factors for the last 12 months
RISK_CLASS STRING Y The risk class, which will be one of the following:
  • GIRR
  • CSR
  • Equity
  • Commodity
  • FX
  • allin
LIQUIDITY_HORIZON INTEGER Y The Liquidity Horizon in days: 10, 20, 40, 60 or 120
BASE_CCY STRING Y The left side of the currency pair
COUNTER_CCY STRING Y The right side of the currency pair
FX_RATE ARRAY(DOUBLE) Y The vector of FX rates between the two currencies. The vector is indexed by the same scenarios as the corresponding IMA ES PV vector.
AS_OF_DATE DATE Y Timestamp (at close of business) for the data

ES_SCENARIO_FX_RATES Unique Key

Columns
DATA_SET
RISK_CLASS
LIQUIDITY_HORIZON
BASE_CCY
COUNTER_CCY
AS_OF_DATE
Columns
DATA_SET
RISK_CLASS
LIQUIDITY_HORIZON
BASE_CCY
COUNTER_CCY
AS_OF_DATE

ES_SCENARIO_FX_RATES_VECTOR Table Fields

Column Name Type Not Null
VECTOR_INDEX INTEGER Y
DATA_SET STRING Y
RISK_CLASS STRING Y
LIQUIDITY_HORIZON INTEGER Y
BASE_CCY STRING Y
COUNTER_CCY STRING Y
FX_RATE DOUBLE
AS_OF_DATE DATE Y

No vector table is required when the database natively supports aggregation on vector types.

ES_SCENARIO_FX_RATES_VECTOR Unique Key

Columns
VECTOR_INDEX
DATA_SET
RISK_CLASS
LIQUIDITY_HORIZON
BASE_CCY
COUNTER_CCY
AS_OF_DATE

No vector table is required when the database natively supports aggregation on vector types.

Outgoing Joins

Target Table Source Columns Target Columns
ES_SCENARIO_FX_RATES_VECTOR DATA_SET
RISK_CLASS
LIQUIDITY_HORIZON
BASE_CCY
COUNTER_CCY
AS_OF_DATE
DATA_SET
RISK_CLASS
LIQUIDITY_HORIZON
BASE_CCY
COUNTER_CCY
AS_OF_DATE

There are no outgoing joins.